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ZSP.TO vs. IEFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZSP.TO vs. IEFA

Last updated Jun 9, 2026

ZSP.TO (BMO S&P 500 Index ETF) and IEFA (iShares Core MSCI EAFE ETF) are both exchange-traded funds - ZSP.TO is a S&P 500 fund tracking the S&P 500 Index, while IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net). Both are passively managed. Over the past 10 years, ZSP.TO returned 16.03%/yr vs 10.36%/yr for IEFA. A 0.50 correlation means they provide meaningful diversification when combined. ZSP.TO charges 0.09%/yr vs 0.07%/yr for IEFA.

Performance

ZSP.TO vs. IEFA - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO S&P 500 Index ETF (ZSP.TO) and iShares Core MSCI EAFE ETF (IEFA). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

ZSP.TO is traded in CAD, while IEFA is traded in USD. To make them comparable, the IEFA values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ZSP.TO achieves a 10.37% return, which is significantly higher than IEFA's 9.41% return. Over the past 10 years, ZSP.TO has outperformed IEFA with an annualized return of 16.03%, while IEFA has yielded a comparatively lower 10.36% annualized return.

ZSP.TO

1D
0.34%
1M
2.27%
YTD
10.37%
6M
9.38%
1Y
26.98%
3Y*
22.94%
5Y*
16.43%
10Y*
16.03%

IEFA

1D
0.87%
1M
0.84%
YTD
9.41%
6M
10.88%
1Y
21.99%
3Y*
17.78%
5Y*
10.89%
10Y*
10.36%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZSP.TO vs. IEFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZSP.TO
BMO S&P 500 Index ETF		10.37%12.36%35.07%23.30%-12.68%27.54%15.61%24.69%3.28%13.60%
IEFA
iShares Core MSCI EAFE ETF		9.41%26.05%12.01%15.15%-9.87%11.58%5.61%17.59%-6.93%18.00%

Correlation

The correlation between ZSP.TO and IEFA is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.57

Correlation (3Y)
Calculated over the trailing 3-year period

0.48

Correlation (5Y)
Calculated over the trailing 5-year period

0.52

Correlation (10Y)
Calculated over the trailing 10-year period

0.51

Correlation (All Time)
Calculated using the full available price history since Nov 27, 2012

0.50

The correlation between ZSP.TO and IEFA has been stable across timeframes, ranging from 0.48 to 0.57 - a consistent structural relationship.

ZSP.TO vs. IEFA - Sectors Allocation Comparison

Sectors
ZSP.TO
IEFA

Technology

36.2%
10.8%

Financial Services

11.9%
22.5%

Communication Services

10.9%
4.4%

Consumer Cyclical

10.1%
8.0%

Healthcare

8.4%
9.5%

Industrials

8.2%
20.1%

Consumer Defensive

4.8%
6.6%

Energy

3.5%
3.8%

Utilities

2.3%
3.6%

Real Estate

1.9%
3.0%

Basic Materials

1.8%
7.0%

Technology

ZSP.TO
36.2%
IEFA
10.8%

Financial Services

ZSP.TO
11.9%
IEFA
22.5%

Communication Services

ZSP.TO
10.9%
IEFA
4.4%

Consumer Cyclical

ZSP.TO
10.1%
IEFA
8.0%

Healthcare

ZSP.TO
8.4%
IEFA
9.5%

Industrials

ZSP.TO
8.2%
IEFA
20.1%

Consumer Defensive

ZSP.TO
4.8%
IEFA
6.6%

Energy

ZSP.TO
3.5%
IEFA
3.8%

Utilities

ZSP.TO
2.3%
IEFA
3.6%

Real Estate

ZSP.TO
1.9%
IEFA
3.0%

Basic Materials

ZSP.TO
1.8%
IEFA
7.0%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

BMO S&P 500 Index ETF

iShares Core MSCI EAFE ETF

Often compared with ZSP.TO:
ZSP.TO vs. VOOZSP.TO vs. XSP.TOZSP.TO vs. ZCN.TOZSP.TO vs. XUS.TOZSP.TO vs. ZEQT.TOZSP.TO vs. VSP.TOZSP.TO vs. ZQQ.TO
Often compared with IEFA:
IEFA vs. VEAIEFA vs. VXUSIEFA vs. EFAIEFA vs. FSPSXIEFA vs. IEMGIEFA vs. XEF.TOIEFA vs. IXUS

Return for Risk

ZSP.TO vs. IEFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZSP.TO
ZSP.TO Risk / Return Rank: 7575
Overall Rank
ZSP.TO Sharpe Ratio Rank: 8080
Sharpe Ratio Rank
ZSP.TO Sortino Ratio Rank: 7878
Sortino Ratio Rank
ZSP.TO Omega Ratio Rank: 8080
Omega Ratio Rank
ZSP.TO Calmar Ratio Rank: 6969
Calmar Ratio Rank
ZSP.TO Martin Ratio Rank: 7070
Martin Ratio Rank
IEFA
IEFA Risk / Return Rank: 4040
Overall Rank
IEFA Sharpe Ratio Rank: 4141
Sharpe Ratio Rank
IEFA Sortino Ratio Rank: 4040
Sortino Ratio Rank
IEFA Omega Ratio Rank: 4040
Omega Ratio Rank
IEFA Calmar Ratio Rank: 3838
Calmar Ratio Rank
IEFA Martin Ratio Rank: 4343
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ZSP.TO vs. IEFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO S&P 500 Index ETF (ZSP.TO) and iShares Core MSCI EAFE ETF (IEFA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

ZSP.TOIEFADifference
Sharpe ratioReturn per unit of total volatility
2.32
1.41

+0.91

Sortino ratioReturn per unit of downside risk
3.12
2.03

+1.09

Omega ratioGain probability vs. loss probability

1.43

1.25

+0.18

Calmar ratioReturn relative to maximum drawdown

3.15

1.96

+1.19

Martin ratioReturn relative to average drawdown

11.81

7.52

+4.29

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ZSP.TO vs. IEFA - Sharpe Ratio Comparison

The current ZSP.TO Sharpe Ratio is 2.32, which is higher than the IEFA Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of ZSP.TO and IEFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

ZSP.TOIEFADifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.32

1.41

+0.91

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.10

0.62

+0.48

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.98

0.57

+0.42

Sharpe Ratio (All Time)

Calculated using the full available price history

1.14

0.62

+0.52

Drawdowns

ZSP.TO vs. IEFA - Drawdown Comparison

The maximum ZSP.TO drawdown since its inception was -26.94%, smaller than the maximum IEFA drawdown of -29.92%. Use the drawdown chart below to compare losses from any high point for ZSP.TO and IEFA.

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Drawdown Indicators

ZSP.TOIEFADifference

Max Drawdown

Largest peak-to-trough decline

-26.94%

-29.92%

+2.98%

Max Drawdown (1Y)

Largest decline over 1 year

-8.61%

-11.27%

+2.66%

Max Drawdown (3Y)

Largest decline over 3 years

-18.95%

-14.32%

-4.63%

Max Drawdown (5Y)

Largest decline over 5 years

-22.25%

-24.68%

+2.43%

Max Drawdown (10Y)

Largest decline over 10 years

-26.94%

-29.92%

+2.98%

Current Drawdown

Current decline from peak

-2.03%

-1.66%

-0.37%

Average Drawdown

Average peak-to-trough decline

-3.34%

-4.52%

+1.18%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.29%

2.93%

-0.64%

Volatility

ZSP.TO vs. IEFA - Volatility Comparison

The current volatility for BMO S&P 500 Index ETF (ZSP.TO) is 3.87%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 4.82%. This indicates that ZSP.TO experiences smaller price fluctuations and is considered to be less risky than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ZSP.TOIEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

3.87%

4.82%

-0.95%

Volatility (6M)

Calculated over the trailing 6-month period

9.00%

13.14%

-4.14%

Volatility (1Y)

Calculated over the trailing 1-year period

11.71%

15.66%

-3.95%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.00%

17.58%

-2.58%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.38%

18.40%

-2.02%

ZSP.TO vs. IEFA - Expense Ratio Comparison

ZSP.TO has a 0.09% expense ratio, which is higher than IEFA's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

ZSP.TO vs. IEFA - Dividend Comparison

ZSP.TO's dividend yield for the trailing twelve months is around 0.76%, less than IEFA's 3.30% yield.

PositionTTM20252024202320222021202020192018201720162015
IEFA
iShares Core MSCI EAFE ETF		3.30%3.55%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%
ZSP.TO
BMO S&P 500 Index ETF		0.76%0.82%0.94%1.33%1.44%1.15%1.45%1.48%1.68%1.68%2.23%1.60%

Frequently Asked Questions

ZSP.TO and IEFA have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, IEFA is cheaper at 0.07% per year. The better choice depends on whether you care most about return, fees, risk, or income.

IEFA is cheaper with a 0.07% expense ratio, compared with 0.09% for ZSP.TO.

ZSP.TO is categorized as S&P 500, while IEFA is Foreign Large Cap Equities. ZSP.TO tracks S&P 500 Index, while IEFA tracks MSCI EAFE IMI Index (Net). They also come from different issuers: BMO and iShares. Their fees differ too: 0.09% for ZSP.TO and 0.07% for IEFA.

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